Thursday, May 11, 2017

Stocks Slightly Lower into Afternoon on Earnings Outlooks, Yen Strength, Profit-Taking, Retail/Telecom Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.61 +3.92%
  • Euro/Yen Carry Return Index 129.26 -.29%
  • Emerging Markets Currency Volatility(VXY) 8.25 -1.55%
  • S&P 500 Implied Correlation 41.70 +4.62%
  • ISE Sentiment Index 89.0 -8.25%
  • Total Put/Call .91 -2.15%
  • NYSE Arms 1.08 +77.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.10 +.29%
  • America Energy Sector High-Yield CDS Index 372.0 -.58%
  • European Financial Sector CDS Index 67.33 +1.68%
  • Western Europe Sovereign Debt CDS Index 7.45 -3.99%
  • Asia Pacific Sovereign Debt CDS Index 20.47 -.05%
  • Emerging Market CDS Index 195.12 +.02%
  • iBoxx Offshore RMB China Corporate High Yield Index 137.72 +.15%
  • 2-Year Swap Spread 26.0 +1.0 basis point
  • TED Spread 30.25 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.75 -1.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.26 +.32%
  • 3-Month T-Bill Yield .88% -1.0 basis point
  • Yield Curve 106.0 unch.
  • China Import Iron Ore Spot $60.38/Metric Tonne -.61%
  • Citi US Economic Surprise Index -19.20 +.8 point
  • Citi Eurozone Economic Surprise Index 69.60 +.6 point
  • Citi Emerging Markets Economic Surprise Index 29.6 -1.7 points
  • 10-Year TIPS Spread 1.91 +4.0 basis points
  • 93.4% chance of Fed rate hike at July 26 meeting, 96.5% chance at Sept. 20 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -51 open in Japan 
  • China A50 Futures: Indicating -12 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail sector longs 
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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